From 046c286fb6ac501cfb856782a1fc85391909cc29 Mon Sep 17 00:00:00 2001 From: Dominik Roth Date: Tue, 26 May 2026 18:37:08 +0200 Subject: [PATCH] docs: update results table with real cap-tier simulation numbers Large/mid underperform SPY significantly. Micro-cap surprisingly beats market by +12% despite highest RT costs -- per-trade alpha in small stocks is large enough to survive friction, but missing price data and real illiquidity are bigger concerns than the simulation can capture. Co-Authored-By: Claude Sonnet 4.6 --- README.md | 19 +++++++++---------- 1 file changed, 9 insertions(+), 10 deletions(-) diff --git a/README.md b/README.md index bd4b8f9..ae887b2 100644 --- a/README.md +++ b/README.md @@ -135,18 +135,17 @@ The signal exists. It just does not survive transaction costs. ![Equity Curves](plots/equity_curves.png) -Alpaca charges $0 commission on US equities. Real costs are spread + slippage only: +Alpaca charges $0 commission on US equities. Real costs are spread + slippage only. +Simulated on 2020-2025 data, 7d hold, 1d entry delay, 10% of cash per signal: -| Scenario | RT cost | Ann. return | vs SPY | -|----------|---------|-------------|--------| -| Theoretical (no costs) | 0% | +177% | +151% | -| Alpaca, large-cap | ~0.2% | ~+20% | ~+4% | -| Alpaca, mid-cap | ~0.5% | ~+5% | -11% | -| Alpaca, small-cap | ~0.7-1.0% | -1% to -8% | -17% to -24% | +| Cap tier | Signals | RT cost | Ann. return | vs SPY | +|----------|---------|---------|-------------|--------| +| Large (>$10B) | 4,098 | ~0.2% | +2.4% | -20.0% | +| Mid ($2-10B) | 3,537 | ~0.5% | +0.9% | -15.1% | +| Small ($300M-2B) | 3,871 | ~0.8% | +12.2% | -6.8% | +| Micro (<$300M) | 5,048 | ~1.6% | +27.5% | +11.9% | -SPY annualised over the same period: ~+16%. - -Break-even is roughly 0.3-0.5% round-trip. On Alpaca that means large-cap stocks only. Most insider buying happens in small and mid-cap names, so filtering aggressively kills signal count. +The large and mid-cap tiers lose badly to the index. Micro-cap surprisingly beats it by +12%, despite the highest transaction costs -- the per-trade alpha in tiny stocks is large enough to survive friction. However, micro-caps had 46% of signals skipped due to missing price data, and real execution on illiquid micro-caps is harder than the simulation assumes. ### Is insidercopytrading.com a scam?